First off, I am not an expert (as anyone who's seen me drive will confirm
) but I will try to pass on some basic stuff that holds for most things. I will e-mail you PDF's on off-road driving that we put together for the Land Rover club newsletter, they cover pretty much everything. Axle diff locks aren't mentioned I think, so I'll go over those here.
It's good that you scare yourself - better to stop because you're worried than to stop because the truck is on its roof in a puddle!
The front-to-rear (centre) diff lock is generally locked once you get onto something a bit loose (remember to unlock it again on tarmac or you will wind it up & break it), but it depends a little on what you're doing and the vehicle itself.
Generally I'd leave the (cross-axle) lockers off as much as possible, especially the front ones as turning is not really recommended with front lockers in (even back lockers will try to push you straight on) and they put massive loads on the drivetrain as you can have all the power going to one wheel if the rest don't have traction.
Since diffs were invented to allow things to turn corners, locking the diff is going to resist turning, and trying to turn is just liable to overload joints in the driveshafts etc. and break something. It's very common in Land Rovers & 4x4's, the first thing people do after fitting axle difflocks is break driveshafts & CV joints and have to buy stronger ones.
Leaving the diffs unlocked also means you have an extra option if you get stuck - lock the diffs and try to back out.
The exception to the rule is where a wheel may lose traction / leave the ground & spin and then grip again (eg bumpy hill climbs, rock climbing). The sudden shock of a wheel spinning and then gripping also causes driveline explosions, so locking the diff up to ensure all wheels are going the same speed whether they're on the ground or in the air can help.